UNICA IRIS Institutional Research Information System
IRIS è il sistema di gestione integrata dei dati della ricerca (persone, progetti, pubblicazioni, attività) adottato dall'Università degli Studi di Cagliari dal mese di luglio 2015.
EnglishThe aim of this paper is to analyze the forecasting performance of alternative model for the US inflation rate over the period 1950.1-2002.7. NAIRU Phillips curve models forecasts are contrasted with those obtained by a special class of nonlinear time series models, the threshold autoregressive models. The forecast evaluation is conducted on point and density forecasts. The results show that overall the non linear specification are better able to capture the distributional features of the series, although in terms of MSFE the Phillips curve specification can yield noticeable forecasting gains for medium and long term horizons. Previous finding on the forecasting superiority of the simple naïve model are confuted. JEL classifications: C22, C53, E31
Scheda prodotto non validato
Attenzione! I dati visualizzati non sono stati sottoposti a validazione da parte dell'ateneo
| Titolo: | Forecasting inflation: a comparison of linear Phillips curve models and nonlinear time series models |
| Autori: | |
| Data di pubblicazione: | 2003 |
| Abstract: | The aim of this paper is to analyze the forecasting performance of alternative model for the US inflation rate over the period 1950.1-2002.7. NAIRU Phillips curve models forecasts are contrasted with those obtained by a special class of nonlinear time series models, the threshold autoregressive models. The forecast evaluation is conducted on point and density forecasts. The results show that overall the non linear specification are better able to capture the distributional features of the series, although in terms of MSFE the Phillips curve specification can yield noticeable forecasting gains for medium and long term horizons. Previous finding on the forecasting superiority of the simple naïve model are confuted. JEL classifications: C22, C53, E31 |
| Handle: | http://hdl.handle.net/11584/12458 |
| Tipologia: | 5.12 Altro |
File in questo prodotto:
Copyright © 2020